Variance reduction in mean time to failure simulations
- 1 January 1988
- conference paper
- Published by Association for Computing Machinery (ACM)
- p. 491-499
- https://doi.org/10.1145/318123.318239
Abstract
We describe two variance reduction methods for estimating the mean time to failure (MTTF) in Markovian models of highly reliable systems. The first method is based on a ratio representation of the MTTF and employs importance sampling. The second method is based on a hybrid simulation/analytic technique where the number of simulated transitions are reduced by computing partial results analytically. Experiments with a large example show the effectiveness of both techniques for highly reliable systems.Keywords
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